Momentum Investing Re-Defined

The Micro Economic Strategy is a long-only approach focused on global equities and ETFs, designed to capture market returns while maintaining a lower sensitivity to traditional equity indices. It leverages technical and fundamental analysis to identify high-liquidity stocks with strong momentum, aiming to reduce downside risk during market volatility.

The Macro Economic Strategy is a long/short global futures approach that seeks alpha across a diversified range of futures contracts, including commodities, bonds, interest rates, and foreign exchange. By analyzing macroeconomic trends and global events, it capitalizes on directional moves in asset classes while hedging against systemic risks.

The S&P 1,100 was selected for its broad market coverage of large- and mid-cap stocks across sectors and geographies. Its high liquidity ensures efficient trade execution and reliable data, making it ideal for momentum-driven strategies that require consistent volume and price stability.

Risk is managed by dynamically adjusting position sizes based on volatility, autocorrelation, and momentum persistence. This approach ensures consistent risk exposure across the portfolio while adapting to changing market conditions, such as shifts in interest rates or geopolitical events.

The universe spans multiple asset classes (commodities, currencies, fixed income) and regions, with a focus on contracts exhibiting sufficient daily trading volume to ensure ease of entry and exit. This ensures robust liquidity and minimizes slippage during high-activity periods.

Capital is dynamically allocated between the Macro and Micro strategies based on market conditions and performance trends. For example, during equity market turbulence, capital may shift toward the Macro Strategy to capitalize on macroeconomic divergences, while in stable markets, the Micro Strategy may take a larger share.

Positions in the Micro Strategy are held for short to medium-term periods (days to weeks), aligning with momentum signals and market cycles. The Macro Strategy typically holds positions for medium to long-term periods (weeks to months), capturing trends driven by macroeconomic shifts like inflation or central bank policies.

Individual positions are limited to ensure diversification, with thresholds set to prevent overexposure to any single asset or market. For equities, this avoids single-stock risks, while in the Macro Strategy, per-contract risk limits help maintain a balanced portfolio.